Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Characteristics
| Characteristic | Latest | Prior Month | Two Months Ago |
|---|---|---|---|
| Rank (1 is Worst, 10 is Best) | 9 | 8 | 9 |
| Score | 5.14 | 3.89 | 6.34 |
| Market Cap (Millions USD) | 1923.9 | 1899.57 | 2169.19 |
| Predicted Beta | 0.47 | 0.47 | 0.47 |
| Idiosyncratic Volatility | 1.99 | 1.93 | 2.02 |
Annualized return and volatility
| IXJ | |
|---|---|
| Annualized Return | 0.0730 |
| Annualized Std Dev | 0.1660 |
| Annualized Sharpe (Rf=0%) | 0.4396 |
Row
Daily Return Statistics
| IXJ | |
|---|---|
| Observations | 4630.0000 |
| NAs | 484.0000 |
| Minimum | -0.0947 |
| Quartile 1 | -0.0044 |
| Median | 0.0005 |
| Arithmetic Mean | 0.0003 |
| Geometric Mean | 0.0003 |
| Quartile 3 | 0.0057 |
| Maximum | 0.1163 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | 0.0000 |
| UCL Mean (0.95) | 0.0006 |
| Variance | 0.0001 |
| Stdev | 0.0105 |
| Skewness | -0.1052 |
| Kurtosis | 10.1528 |
Downside Risk
| IXJ | |
|---|---|
| Semi Deviation | 0.0076 |
| Gain Deviation | 0.0073 |
| Loss Deviation | 0.0081 |
| Downside Deviation (MAR=210%) | 0.0124 |
| Downside Deviation (Rf=0%) | 0.0074 |
| Downside Deviation (0%) | 0.0074 |
| Maximum Drawdown | 0.4060 |
| Historical VaR (95%) | -0.0161 |
| Historical ES (95%) | -0.0250 |
| Modified VaR (95%) | -0.0150 |
| Modified ES (95%) | -0.0217 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-05-08 | 2009-03-09 | 2011-04-26 | -0.4060 | 1018 | 474 | 544 |
| 2001-11-27 | 2002-07-23 | 2005-04-13 | -0.3187 | 866 | 167 | 699 |
| 2015-08-06 | 2016-02-11 | 2017-06-19 | -0.1878 | 477 | 133 | 344 |
| 2011-06-01 | 2011-08-10 | 2012-03-13 | -0.1651 | 200 | 50 | 150 |
| 2018-10-02 | 2018-12-24 | 2019-07-02 | -0.1445 | 191 | 59 | 132 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | IXJ | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2000 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2001 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | 0.0 | 0 | NA |
| 2002 | 1.3 | 0.4 | 0.0 | 0.6 | 0.0 | -4.3 | -0.5 | 0.0 | 2.2 | -0.3 | 0.0 | 0 | -0.9 |
| 2003 | 0.0 | 0.0 | 1.2 | 0.4 | 0.0 | 0.7 | -1.4 | 0.0 | 0.6 | 0.0 | 1.4 | 0 | 2.8 |
| 2004 | 0.0 | 0.7 | 1.1 | 0.0 | 0.2 | -0.7 | 0.0 | 0.1 | 0.2 | -0.4 | 1.1 | 0 | 2.3 |
| 2005 | -0.4 | 1.5 | 0.0 | 0.0 | 0.8 | 0.3 | 0.0 | 1.1 | 0.0 | -0.3 | 1.0 | 0 | 4.0 |
| 2006 | 0.1 | 0.4 | 0.0 | -0.1 | 1.4 | 0.0 | 0.1 | 0.3 | 0.0 | -0.4 | -0.1 | 0 | 1.7 |
| 2007 | 0.7 | -0.7 | 0.0 | -0.1 | 0.0 | 0.0 | 0.2 | 0.0 | 1.2 | -1.2 | 0.0 | 0 | 0.1 |
| 2008 | 0.4 | 0.0 | 2.4 | 1.9 | 0.0 | 0.3 | -0.3 | 0.0 | 0.5 | 0.0 | -5.3 | 0 | -0.3 |
| 2009 | 0.0 | 0.0 | 0.3 | -0.7 | 1.2 | 0.0 | 0.0 | -1.4 | -1.8 | 0.0 | 1.3 | 0 | -1.0 |
| 2010 | 0.7 | 0.5 | 0.5 | 0.0 | -0.9 | -0.5 | 0.0 | 2.4 | 0.4 | -0.1 | 1.7 | 0 | 4.7 |
| 2011 | 2.0 | -0.5 | 0.6 | 0.0 | -1.4 | 1.0 | -1.0 | -0.5 | 0.0 | -2.2 | -0.2 | 0 | -2.2 |
| 2012 | 0.8 | 0.4 | 0.0 | 0.7 | -2.2 | 0.0 | 0.1 | 0.0 | 1.0 | 0.7 | 0.0 | 0 | 1.4 |
| 2013 | 0.7 | 0.6 | -0.1 | -1.0 | 0.0 | 1.0 | 0.7 | 0.0 | 0.7 | 0.3 | 0.0 | 0 | 2.9 |
| 2014 | 0.0 | 0.0 | 0.1 | 0.6 | 0.0 | 1.1 | -0.1 | 0.0 | -0.9 | 0.0 | 0.0 | 0 | 0.8 |
| 2015 | 0.0 | 0.0 | -0.6 | 1.1 | 0.3 | 0.6 | 0.0 | -2.8 | 0.7 | 0.0 | 1.5 | 0 | 0.7 |
| 2016 | 0.4 | 2.2 | 0.6 | 0.0 | 0.3 | 0.7 | 0.5 | -0.3 | 0.0 | -0.4 | -1.0 | 0 | 2.9 |
| 2017 | 0.5 | 0.8 | 0.0 | 0.0 | 1.0 | 0.0 | -0.2 | 0.2 | 0.0 | 0.3 | -0.1 | 0 | 2.5 |
| 2018 | -0.3 | -1.4 | 0.0 | -0.4 | 1.2 | 0.0 | 0.1 | 0.0 | 0.7 | 1.2 | 0.0 | 0 | 1.1 |
| 2019 | 0.2 | 1.2 | 0.3 | -0.5 | 0.0 | 0.4 | 0.5 | 0.0 | -1.1 | 0.3 | 0.0 | 0 | 1.3 |
Row
Rolling Performance Chart
Snail Trail Chart
